The one film role Reeves says is his best is John Constantine in the 2005 movie "Constantine." Now, the term "best role" can be understood in a few key ways. We can interpret it to mean the most enticing character that he's been able to play. We can also define it as the most compelling character on the page that he's been able to bring to life. Both definitions of the phrase seem applicable to Reeves, who has gone on to effectively say that the titular role of Constantine is his favorite role, citing the character's anger and drive as traits he liked to play (via Cracked and BT).
Reeves citing Constantine as his favorite character to play is a bit of a surprise — if only because there are only a few characters he's played that are arguably more widely known and loved. When you think of roles Reeves would love, you might think Neo in "The Matrix" movies or even Ted in the "Bill & Ted" trilogy. But Reeves is an actor who never fails to do the opposite of what's expected. So, it really shouldn't be a surprise that the actor enjoyed playing John Constantine, a character who previously lived only in the pages of his own DC comics series previous to the mostly panned live-action adaptation directed by Francis Lawrence. Playing Constantine allowed Reeves to stretch himself as an actor by ditching his heroic impulses seen in pre-"Constantine" roles and instead explore being an antihero. Living in Constantine's skin during filming seems to have taken hold of Reeves because, as recently as 2019, the actor has maintained he would love to return to the character if given the chance (via Comic Book).